EWN vs. JNJ
EWN (iShares MSCI Netherlands ETF) is Europe Equities fund tracking the MSCI Netherlands Investable Market Index, while JNJ (Johnson & Johnson) is a stock. Over the past 10 years, EWN returned 12.79%/yr vs 9.85%/yr for JNJ. At a 0.31 correlation, their price movements are largely independent.
Performance
EWN vs. JNJ - Performance Comparison
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Returns By Period
In the year-to-date period, EWN achieves a 18.09% return, which is significantly higher than JNJ's 9.07% return. Over the past 10 years, EWN has outperformed JNJ with an annualized return of 12.79%, while JNJ has yielded a comparatively lower 9.85% annualized return.
EWN
- 1D
- -1.30%
- 1M
- 8.53%
- YTD
- 18.09%
- 6M
- 18.14%
- 1Y
- 33.81%
- 3Y*
- 19.93%
- 5Y*
- 8.69%
- 10Y*
- 12.79%
JNJ
- 1D
- 0.16%
- 1M
- 0.14%
- YTD
- 9.07%
- 6M
- 9.93%
- 1Y
- 48.18%
- 3Y*
- 15.79%
- 5Y*
- 9.14%
- 10Y*
- 9.85%
EWN vs. JNJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EWN iShares MSCI Netherlands ETF | 18.09% | 34.87% | 1.67% | 22.08% | -24.43% | 22.74% | 23.23% | 32.45% | -15.37% | 33.73% |
JNJ Johnson & Johnson | 9.07% | 47.48% | -4.81% | -8.58% | 5.97% | 11.44% | 10.82% | 16.22% | -5.13% | 24.43% |
Correlation
The correlation between EWN and JNJ is 0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since Apr 2, 1996 | 0.31 |
Over the past year, the correlation between EWN and JNJ has dropped to 0.09 - well below their long-term average of 0.31, suggesting their price drivers have been diverging.
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Return for Risk
EWN vs. JNJ — Risk / Return Rank
EWN
JNJ
EWN vs. JNJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Johnson & Johnson (JNJ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| EWN | JNJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.18 | ||
| Sortino ratioReturn per unit of downside risk | -1.79 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.52 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | 4.42 | -1.85 |
| Martin ratioReturn relative to average drawdown | 9.70 | 13.33 | -3.63 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EWN | JNJ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.73 | 2.91 | -1.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.38 | 0.55 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.60 | 0.54 | +0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.53 | -0.23 |
Drawdowns
EWN vs. JNJ - Drawdown Comparison
The maximum EWN drawdown since its inception was -65.22%, which is greater than JNJ's maximum drawdown of -50.67%. Use the drawdown chart below to compare losses from any high point for EWN and JNJ.
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Drawdown Indicators
| EWN | JNJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.22% | -50.67% | -14.55% |
Max Drawdown (1Y)Largest decline over 1 year | -13.24% | -10.96% | -2.28% |
Max Drawdown (3Y)Largest decline over 3 years | -19.77% | -15.95% | -3.82% |
Max Drawdown (5Y)Largest decline over 5 years | -43.57% | -18.41% | -25.16% |
Max Drawdown (10Y)Largest decline over 10 years | -43.57% | -27.37% | -16.20% |
Current DrawdownCurrent decline from peak | -1.30% | -9.67% | +8.37% |
Average DrawdownAverage peak-to-trough decline | -16.35% | -11.88% | -4.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.49% | 3.63% | -0.14% |
Volatility
EWN vs. JNJ - Volatility Comparison
iShares MSCI Netherlands ETF (EWN) has a higher volatility of 7.50% compared to Johnson & Johnson (JNJ) at 5.20%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EWN | JNJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.50% | 5.20% | +2.30% |
Volatility (6M)Calculated over the trailing 6-month period | 16.37% | 12.17% | +4.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.68% | 16.67% | +3.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.88% | 16.82% | +6.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.36% | 18.45% | +2.91% |
Dividends
EWN vs. JNJ - Dividend Comparison
EWN's dividend yield for the trailing twelve months is around 4.26%, more than JNJ's 2.35% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWN iShares MSCI Netherlands ETF | 4.26% | 5.03% | 2.18% | 1.79% | 1.98% | 1.01% | 0.78% | 2.57% | 2.40% | 1.68% | 2.71% | 1.92% |
JNJ Johnson & Johnson | 2.35% | 2.48% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% |
Frequently Asked Questions
EWN and JNJ have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWN has higher volatility (7.50%) compared to JNJ (5.20%). In terms of maximum drawdown, EWN dropped -65.22% vs JNJ's -50.67%.
JNJ currently has the higher Sharpe Ratio (2.91 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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